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Emerging as Low Vol

Extending the series begun with When Russell 2000 is Low Vol, I thought I should take a look at Emerging Market stocks during periods of low relative volatility to the S&P 500. So you can replicate even without access to expensive data, let’s use the Vanguard Emerging Market Fund (VEIEX) and the Vanguard S&P 500 Fund (VFINX) as proxies. In the 12 month rolling regression, we see the same fairly steadily increasing beta and correlation of the Emerging Market stocks to the S&P 500 that we saw in the Russell 2000.